We examine empirically whether asset prices and exchange rates may be admitted into a standard interest rate rule, using data for the US, the UK and Japan since 1979. Asset prices and exchange rates can be employed as information variables for a standard ‘Taylor-type’ rule or as...

During the 1990s a number of African central banks succeeded in bringing inflation to relatively low levels while maintaining a market-determined exchange rate. These central banks were generally reluctant to fully subordinate exchange rate targets to monetary targets, however, particularly in...

We examine the forecasting performance of a range of time-series models of the daily U.S. effective federal funds (FF) rate recently proposed in the literature. We find that: (1) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate,...

This article examines empirically the dynamic relationship between spot and futures prices in stock index futures markets employing a class of nonlinear, regime‐switching‐vector‐equilibrium‐correction models, which is novel in this context. Using data for the S&P 500 and the FTSE 100...